Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 27 (2D) | Oct 28 (3D) | Oct 29 (4D) | Oct 30 (5D) | Oct 31 (6D) | Nov 03 (9D) | Nov 04 (10D) | Nov 05 (11D) | Nov 06 (12D) | Nov 07 (13D) | Nov 14 (20D) | Nov 21 (27D) | Nov 28 (34D) | Dec 05 (41D) | Dec 12 (48D) | Dec 19 (55D) | Dec 26 (62D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 669.043 | 667.199 | 665.644 | 664.274 | 663.036 | 659.841 | 658.899 | 658.004 | 657.148 | 656.327 | 651.298 | 647.097 | 643.413 | 640.093 | 637.046 | 634.214 | 631.557 |
| upper | 685.457 | 687.301 | 688.856 | 690.226 | 691.464 | 694.659 | 695.601 | 696.496 | 697.352 | 698.173 | 703.202 | 707.403 | 711.087 | 714.407 | 717.454 | 720.286 | 722.943 |
| expected move | 8.207 | 10.051 | 11.606 | 12.976 | 14.214 | 17.409 | 18.351 | 19.246 | 20.102 | 20.923 | 25.952 | 30.153 | 33.837 | 37.157 | 40.204 | 43.036 | 45.693 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
